Job vacancy description:

The Quantitative Analyst is a strategic professional who stays abreast of developments within the field and contributes to directional strategy by considering their application in the job and the business. Recognised technical authority for Credit Markets. Requires basic commercial awareness. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.

Responsibilities:

• Develop analytics libraries used for pricing and risk-management of credit products traded in the Emerging Markets Credit trading business and Flow Credit trading business
• Create, implement, and support quantitative models for the Credit trading businesses leveraging a wide variety of mathematical and computer science methods and tools including, advanced calculus, C++ including STL, boost, Python, object oriented software design, mathematical finance/ programming and statistics and probability
• Develop pricing models using numerical techniques for valuation including closed form derivations and numerical methods such as Monte-Carlo, lattice methods, numerical integrations, etc.
• Develop desk tools to facilitate market making, relative value analysis and trade analysis to the trading desk
• Collaborate closely with Traders and Structurers. Analysis of risk and profitability of new and existing trades and supporting day-to-day risk management of EM credit derivatives books and their hedges.
• Collaborating with Technology on the integration of new analytical functionalities into Citi’s global FO risk systems. Guiding and supervising the development and rollout of Citi’s global Credit Markets live bond pricing and risk system.
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
• Deliver important contributions to the global team’s work slate, sharing knowledge, experience and providing support
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
• Adhere to all policies and procedures as defined by your role which will be communicated to you
• Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• Experience in a comparable quantitative modeling or analytics role
• Comprehensive knowledge of Emerging Markets credit products, their conventions and modelling
• Must have technical/programming skills; C++, Python; Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyse complex contracts; and Software design and principles
• Must also possess a profound level of Fixed Income product knowledge, Investments and Quantitative Methods
• Consistently demonstrates clear and concise written and verbal communication skills

Education:

• Bachelor’s/University degree, Master’s degree preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, colour, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

Citi
Quantitative Analyst
Competitive Salary Offered
Office Location: 25 CANADA SQUARE CANARY WHARF, WEST INDIA DOCKS LONDON, E14

Additional Requirements

• Master’s degree preferred
• C++
• Python